Boosting Non-linear Predictabilityof Macroeconomic Time Series

Heikki Kauppi and Timo Virtanen
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Heikki Kauppi: University of Turku
Timo Virtanen: University of Turku

No 124, Discussion Papers from Aboa Centre for Economics

Abstract: We apply the boosting estimation method to investigate to what ex-tent and at what horizons macroeconomic time series have nonlinearpredictability coming from their own history. Our results indicate thatthe U.S. macroeconomic time series have more exploitable nonlinearpredictability than previous studies have found. On average, the mostfavorable out-of-sample performance is obtained by a two-stage proce-dure, where a conventional linear prediction model is fine-tuned by theboosting technique.

Keywords: boosting; forecasting; linear autoregression; mean squarederror; non-linearity (search for similar items in EconPapers)
JEL-codes: C22 C53 E27 E37 E47 (search for similar items in EconPapers)
Pages: 49
Date: 2018-12
New Economics Papers: this item is included in nep-ets and nep-mac
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